Economics at your fingertips  

Monetary policy and inflation in South Africa: A VECM augmented with foreign variables

Annari De Waal and Renee van Eyden ()

South African Journal of Economics, 2014, vol. 82, issue 1, 117-140

Abstract: We develop a structural cointegrated vector autoregressive (VAR) model with weakly exogenous foreign variables, known as an augmented VECM or VECX , suitable for a small open economy like South Africa. This model is novel for South Africa in two ways: it is the first VECX developed to analyse monetary policy and the first model that uses time-varying trade weights to create the foreign series. We impose three significant long-run relations (augmented purchasing power parity, uncovered interest parity and Fisher parity) to investigate the effect of a monetary policy shock on inflation. The results suggest the effective transmission of monetary policy.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Monetary policy and inflation in South Africa: A VECM augmented with foreign variables (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0038-2280

Access Statistics for this article

South African Journal of Economics is currently edited by Philip A. Black

More articles in South African Journal of Economics from Economic Society of South Africa Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2023-06-15
Handle: RePEc:bla:sajeco:v:82:y:2014:i:1:p:117-140